Historical market depth data

[TheFil]

Hello,

Is market depth data reference-able historically outside of the OnMarketDepth() context? I subscribe to L2 via Continuum.

Where my questions leads is whether it is possible to compile aggregate book depth at whatever relevant frequency historically or whether this can only be done in real-time via the event driven OnMarketDepth() method?

Thx

[NinjaTrader_Jesse]

Hello TheFil,

Level 2 data is not stored historically so you would need to use OnMarketDepth for that data. You can use the playback connection to replay level 2 but there is otherwise not a way to test that historically with historical data or historical tests.

[TheFil]

Got it. That was my assumption, but wanted to get confirmation.